Exact simulation of tempered stable Ornstein–Uhlenbeck processes
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Publication:5300752
DOI10.1080/00949655.2010.494247zbMath1267.65002MaRDI QIDQ5300752
Publication date: 28 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2010.494247
self-decomposability; rejection method; Ornstein-Uhlenbeck; random sample generation; tempered stable
60E07: Infinitely divisible distributions; stable distributions
62E15: Exact distribution theory in statistics
65C10: Random number generation in numerical analysis
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